And now for something completely different. A bit of macro and a bit of factor relative performance: what happens when yield spreads and small caps diverge from the S&P 500? High Yield Spreads First, let’s play with some macro-style data. Below you’ll…

Before you read this post, read the (Wagner award winning) Know Your System! – Turning Data Mining from Bias to Benefit through System Parameter Permutation by Dave Walton. The concept is essentially to use all the results from a brute force…